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A simple method for the control of divergence in Kalman-filter algorithms

 

作者: H. SRIYANANDA,  

 

期刊: International Journal of Control  (Taylor Available online 1972)
卷期: Volume 16, issue 6  

页码: 1101-1106

 

ISSN:0020-7179

 

年代: 1972

 

DOI:10.1080/00207177208932342

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

It is found that, under certain conditions, the estimation errors produced by the Standard Kalman-filter algorithm increase rapidly, and become unbounded, even though the predicted error covariance continues to decrease in accordance with the stability properties of the Kalman filter. A very simple modification, which freezes the filter gain when divergence is suspected, is suggested. The modified algorithm would keep these errors within bound without causing an appreciable increase in the computation burden.

 

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